On the performance of West's bubble test: a simulation approach

DOI10.1016/J.AMC.2010.08.056MaRDI QIDQ613258zbMATH OpenOpenAlexFDO

Authors Aydin Yuksel, Levent Akdeniz, Aslihan Altay-Salih

Publication date 20 December 2010

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11693/12003

zbMATH Keywords

asset pricingpresent value modelspeculative bubble test

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) General equilibrium theory (91B50)

Recommendations

• scientific article; zbMATH DE number 6858228
• A simple test for a bubble based on growth and acceleration
• Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
• Asset price bubbles: invariance theorems
• Are speculative bubbles welfare improving? A note on Wang and Wen (2012)

Cites work

• scientific article; zbMATH DE number 3773316 (Why is no real title available?)
• scientific article; zbMATH DE number 3635352 (Why is no real title available?)
• Asset Bubbles and Overlapping Generations
• Asset Prices in an Exchange Economy
• Bubbles and Crashes
• Computational economics and economic theory: Substitutes or complements?
• Do CAPM results hold in a dynamic economy? A numerical analysis
• Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches
• Large Sample Properties of Generalized Method of Moments Estimators
• Risk and return in a dynamic general equilibrium model
• Specification Tests in Econometrics
• Stock valuation along a Markov chain.
• The equity premium in Brock's asset pricing model

Cited in

(1)

• Are speculative bubbles welfare improving? A note on Wang and Wen (2012)

This page was built for publication: On the performance of West's bubble test: a simulation approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q613258)